Floating Rate Note (Excel download)

							                                           FRN Example


ValueDate        4-Jan-00    Dirty Price         99.31       Cash Flow
Maturity        29-Sep-02    AccruedInterest      0.06   29-Mar-00     0.87
Index                  3m    Margin CP           42.18   29-Jun-00     0.99
Spread               15.00   Margin DP           42.18   29-Sep-00     0.98
ActualRate            3.43   Clean Price         99.25   29-Dec-00     0.99
DCM                Act/360   Dirty Price         99.31   29-Mar-01     0.98
Clean Price          99.25   Duration            0.233   29-Jun-01     1.01
FinancialCenter     Zurich   ModDuration         0.231    1-Oct-01     1.03
RedemptionValue     100.00   Risk                0.229   31-Dec-01     1.03
                             MarginRisk          2.592    2-Apr-02     1.01
                                                           1-Jul-02    1.04
                                                         30-Sep-02   101.05




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                                CHF
Actual Date                26-Sep-00, Tue
Days to Settlement                 2
SpotDate                   03-Jan-00, Mon
FinancialCenter                Zurich
SwapBDA                        ModFoll
SwapFrequency                    Ann
Cash Day Count Method          Act/360
Swap Day Count Method         30E/360
 S/N                             3.44
 1 Mth Cash                      3.33
 2 Mth Cash                      3.37
 3 Mth Cash                      3.43
 6 Mth Cash                      3.60
 9 Mth Cash                      3.65
12 Mth Cash                      3.71
 2 Yr Swap                       3.86
 3 Yr Swap                       3.92
 4 Yr Swap                       3.98
 5 Yr Swap                       4.04
 6 Yr Swap                       4.10
 7 Yr Swap                       4.16
 8 Yr Swap                       4.22
 9 Yr Swap                       4.27
10 Yr Swap                       4.31
Fut 1                            0.00
Fut 2                           97.63
Fut 3                           97.39
Fut 4                           97.10
Fut 5                           96.85
Fut 6                           96.85
Discount Curve                  CHF




061a05f0-6821-4fe3-84ce-1e25e50ea678.xls
11/19/2011 9:40 AM